Exemplo n.º 1
0
  @Override
  public RandomVariableInterface getValue(
      double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
      throws CalculationException {

    AnalyticModelInterface analyticModel = model.getModel().getAnalyticModel();
    if (analyticModel == null)
      throw new IllegalArgumentException(
          "Provided model does not carry an associated analytic model.");

    CurveInterface curve = analyticModel.getCurve(curveName);
    if (curve == null)
      throw new IllegalArgumentException(
          "Associated analytic model does not carry a curve of the name " + curveName + ".");

    double index = curve.getValue(analyticModel, evaluationTime + fixingOffet);

    return model.getRandomVariableForConstant(index);
  }
 @Override
 public RandomVariableInterface getValue(
     double evaluationTime, LIBORModelMonteCarloSimulationInterface model) {
   return getValues(evaluationTime, model.getModel());
 }